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Continuous-time Finance
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Financial Markets and Institutions (4th Edition)Financial Markets and Institutions (4th Edition) by Frederic S. Mishkin
Buy used from: $0.50
A nice general introduction to finance for beginners.
Corporate FinanceCorporate Finance by Stephen A. Ross
Buy used from: $20.00
It is an upper-undergraduate or MBA textbook in corporate finance. I find it very helpful for understanding many finance concepts
Options, Futures, and Other Derivatives (5th Edition)Options, Futures, and Other Derivatives (5th Edition) by John C. Hull
Buy used from: $24.00
A bible for derivative pricing. Everyone in finance has it.
Financial Calculus : An Introduction to Derivative PricingFinancial Calculus : An Introduction to Derivative Pricing by Martin Baxter
Buy new: $55.44 / Used from: $40.00
A concise introduction to derivative pricing. It provides very intuitive explainations of both economics and mathematics involved.
Pricing and Hedging of Derivative SecuritiesPricing and Hedging of Derivative Securities by Lars Tyge Nielsen
Buy new: $95.05 / Used from: $55.05
A rigorous introduction to continuous-time finance. The Ito calculus is well explained and accessible for any graduate students. The appendix provides a nice summary of required mathematics.
Dynamic Asset Pricing Theory, Third Edition.Dynamic Asset Pricing Theory, Third Edition. by Darrell Duffie
Buy new: $80.00 / Used from: $54.49
This is a popular graduate textbook in asset pricing. It is a concise survey with rich references.
Stochastic Differential Equations: An Introduction with Applications (Universitext)Stochastic Differential Equations: An Introduction with Applications (Universitext) by Bernt Oksendal
Buy new: $40.42 / Used from: $30.00
Mathematics is kind of an entry barrier into continuous-time finance. You simply can't avoid it. This is a text written by mathematicians for applied scientists.